scholarly journals Cross-Country Relative Price Volatility: Effects of Market Structure

2005 ◽  
Author(s):  
Yin-Wong Cheung ◽  
Eiji Fujii
Keyword(s):  
Market Structure ◽  
Price Volatility ◽  
Relative Price ◽  
Cross Country

scholarly journals EXPLORING CROSS-COUNTRY VARIATION IN GOVERNMENT SHARES: WHAT CAN WE LEARN FROM RELATIVE PRODUCTIVITIES?

2012 ◽  
Vol 17 (2) ◽  
pp. 356-372 ◽  
Author(s):  
Maksym Obrizan
Keyword(s):  
Relative Price ◽  
Total Output ◽  
Government Consumption ◽  
Strong Negative Correlation ◽  
Empirical Observation ◽  
Relative Prices ◽  
Neoclassical Growth Model ◽  
Poor Countries ◽  
Cross Country ◽  
Neoclassical Growth

Government shares in total output are characterized by significant variation across countries. I noticed a strong negative correlation between government consumption shares and the price of government services in terms of private consumption. Motivated by this empirical observation, I developed a neoclassical growth model with added government that is capable of matching the variation in government shares very closely using only relative prices. In addition, I provide empirical evidence showing that the relative price of government consumption increases with income, which is consistent with distortions prevailing in poor countries. These two observations combined imply that government shares tend to be higher in poorer countries.

scholarly journals The Role of Relative Price Volatility in the Efficiency of Investment Allocation

2010 ◽  
Author(s):  
Eduardo A. Cavallo ◽  
Arturo José Galindo ◽  
Alejandro Izquierdo ◽  
John Jairo Leon
Keyword(s):  
Price Volatility ◽  
Relative Price ◽  
Investment Allocation

ENDOGENOUS PARTICIPATION, RISK, AND LEARNING IN THE STOCK MARKET

2020 ◽  
pp. 1-33 ◽  
Author(s):  
Michael Shin
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Participation Rate ◽  
Participation Rates ◽  
Asset Pricing Model ◽  
Excess Volatility ◽  
Subjective Risk ◽  
Cross Country

A simple asset pricing model with both endogenous stock market participation and subjective risk can explain the negative cross-country correlation between participation rates and the volatility of excess returns, along with the time-varying participation rates in the data. Belief-driven learning dynamics can explain the interplay between participation rates, subjective risk, and stock price volatility. When agents adaptively learn about the risk and return, my model generates 25% of the excess volatility observed in US stock prices, while also matching key moments. With learning about risk, excess volatility of stock prices is driven by fluctuations in the participation rate that arise because agents’ risk estimates vary with prices. I find that learning about risk is quantitatively more important than learning about returns.

scholarly journals The Price of Capital Goods

2019 ◽  
Vol 19 (134) ◽  
pp. 1 ◽  
Author(s):  
Weicheng Lian ◽  
Natalija Novta ◽  
Evgenia Pugacheva ◽  
Yannick Timmer ◽  
Petia Topalova
Keyword(s):  
Developing Economies ◽  
Emerging Market ◽  
Relative Price ◽  
Trade Integration ◽  
Capital Goods ◽  
The Past ◽  
Time Period ◽  
Cross Country ◽  
Investment Growth ◽  
Additional Channel

Over the past three decades, the price of machinery and equipment fell dramatically relative to other prices in advanced and emerging market and developing economies. Using cross-country and sectoral data, we show that the decline in the relative price of tangible tradable capital goods provided a significant impetus to the capital deepening that took place during the same time period. The broad-based decline in the relative price of machinery and equipment, in turn, was driven by the faster productivity growth in the capital goods producing sectors relative to the rest of the economy, and deeper trade integration, which induced domestic producers to lower prices and increase their efficiency. Our findings suggest an additional channel through which rising trade tensions and sluggish productivity could threaten real investment growth going forward.

scholarly journals MARKET STRUCTURE, SECURITY PRICES, AND INFORMATIONAL EFFICIENCY

1997 ◽  
Vol 1 (1) ◽  
pp. 169-205 ◽  
Author(s):  
JENNIFER HUANG ◽  
JIANG WANG
Keyword(s):  
Market Structure ◽  
Private Information ◽  
Equity Premium ◽  
Price Volatility ◽  
Securities Market ◽  
Informational Efficiency ◽  
Derivative Securities ◽  
Security Prices ◽  
Market Structures

We consider an economy with an incomplete securities market and heterogeneously informed investors. Each investor trades in the market to hedge the risk to his endowment and to speculate on future security payoffs using his private information. We examine the efficiency of the securities market in allocating risk and transmitting information under different market structures, as defined by the set of securities traded in the market. We show that the introduction of derivative securities can decrease the market's efficiency in revealing information on security payoffs, and increase the equity premium and price volatility in the market.

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